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Pricing the stochastic volatility put option of banks' credit line commitments
Chateau, Jean-Pierre D.; Dufresne, Daniel - 1998
Persistent link: https://www.econbiz.de/10000998682
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Beyong Basel-2 simplified standardized approach : credit risk valuation of short-term loan commitments
Chateau, Jean-Pierre D. - In: International review of financial analysis 16 (2007) 5, pp. 412-433
Persistent link: https://www.econbiz.de/10003612960
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Valuing European put options under skewness and increasing [excess] kurtosis
Chateau, Jean-Pierre D. - In: Journal of mathematical finance 4 (2014) 3, pp. 160-177
Persistent link: https://www.econbiz.de/10010400109
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A general formula for option prices in a stochastic volatility model
Ching, Stephen; Dufresne, Daniel - 2009
Persistent link: https://www.econbiz.de/10003901912
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Stochastic volatility and option pricing
Dufresne, Daniel - 2009
Persistent link: https://www.econbiz.de/10003901917
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A general formula for option prices in a stochastic volatility model
Ching, Stephen; Dufresne, Daniel - In: Applied mathematical finance 19 (2012) 3/4, pp. 313-340
Persistent link: https://www.econbiz.de/10009710970
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Gram-Charlier processes and equity-indexed annuities
Dufresne, Daniel - 2012
Persistent link: https://www.econbiz.de/10009565489
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Laguerre series for Asian and other options
Dufresne, Daniel - In: Mathematical finance : an international journal of … 10 (2000) 4, pp. 407-428
Persistent link: https://www.econbiz.de/10002179018
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Two notes on financial mathematics
Dufresne, Daniel (contributor) - 2005
Persistent link: https://www.econbiz.de/10003145390
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Fourier inversion formulas in option pricing and insurance
Dufresne, Daniel (contributor); Garrido, Jose (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003227364